Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0134 |
| Annualized Std Dev | 0.2370 |
| Annualized Sharpe (Rf=0%) | 0.0565 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3533.0000 |
| NAs | 1.0000 |
| Minimum | -0.1153 |
| Quartile 1 | -0.0058 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0070 |
| Maximum | 0.1360 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0149 |
| Skewness | -0.2718 |
| Kurtosis | 11.1555 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0109 |
| Gain Deviation | 0.0106 |
| Loss Deviation | 0.0123 |
| Downside Deviation (MAR=210%) | 0.0154 |
| Downside Deviation (Rf=0%) | 0.0109 |
| Downside Deviation (0%) | 0.0109 |
| Maximum Drawdown | 0.6281 |
| Historical VaR (95%) | -0.0221 |
| Historical ES (95%) | -0.0373 |
| Modified VaR (95%) | -0.0222 |
| Modified ES (95%) | -0.0357 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2009-03-09 | NA | -0.6281 | 3369 | 339 | NA |
| 2007-07-24 | 2007-08-16 | 2007-09-27 | -0.1308 | 47 | 18 | 29 |
| 2007-06-05 | 2007-06-07 | 2007-06-21 | -0.0372 | 13 | 3 | 10 |
| 2007-10-15 | 2007-10-22 | 2007-10-26 | -0.0302 | 10 | 6 | 4 |
| 2007-03-13 | 2007-03-13 | 2007-03-20 | -0.0262 | 6 | 1 | 5 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | -0.1 | 0.1 | 1 | 0.7 | 0.1 | 2.4 | 1.7 | -2.3 | 0 | -0.9 | 2.6 |
| 2008 | 1.3 | -2.8 | 2.9 | 0.7 | -0.1 | -1.3 | -1 | -0.3 | 0.3 | 0.4 | -7.9 | 1.3 | -6.6 |
| 2009 | -0.8 | -2.7 | 2.8 | 1.8 | 2.3 | 1.8 | 1.3 | -2.3 | -3 | -3.7 | 2.8 | -0.3 | -0.5 |
| 2010 | 2.3 | 1.1 | 1.9 | -1.3 | -1.3 | 0.6 | 0.2 | 3.3 | 1.1 | 0.1 | 2.7 | 0.5 | 11.4 |
| 2011 | 2.2 | -1.2 | 1.1 | 0.5 | -2.1 | 1 | -0.7 | -0.8 | -3.5 | -3.2 | -0.9 | 0.5 | -6.9 |
| 2012 | 1.6 | 1 | 0.8 | 0.5 | -2.1 | 3.5 | 0 | 1.1 | 0.8 | 1.1 | 0 | 1.7 | 10.4 |
| 2013 | 0.9 | 0 | -1.1 | -0.9 | -2 | 1.1 | 1.3 | -0.7 | 0.6 | -0.4 | 0.4 | 0.4 | -0.5 |
| 2014 | -1.2 | 0.2 | 0.7 | 0.2 | -0.2 | 0.9 | -0.4 | 0.1 | -1.3 | 1.6 | -0.5 | -0.4 | -0.5 |
| 2015 | -1.6 | 0 | 0.8 | 0.7 | -0.2 | 0.5 | 0.6 | -3.3 | 0.4 | -0.1 | 1 | -1 | -2.3 |
| 2016 | -0.2 | 2.7 | -0.8 | -0.3 | -0.1 | 0.3 | -0.5 | 0.7 | 0.6 | -0.4 | -0.4 | 0 | 1.6 |
| 2017 | 0.2 | 1.1 | -0.3 | 0.3 | 0.7 | 0.2 | 0.6 | 0.3 | 0.6 | 0.2 | -0.3 | 0.1 | 3.8 |
| 2018 | -0.1 | -1.1 | 1.2 | -0.4 | 0.9 | 0.9 | -0.4 | -0.4 | 0.3 | 1.7 | -0.3 | 0.1 | 2.3 |
| 2019 | -0.2 | 0.5 | 1.4 | -0.7 | -0.6 | 0.7 | -0.8 | 0.5 | -0.8 | 1 | -0.9 | 0.3 | 0.3 |
| 2020 | -1.7 | -0.6 | -4.2 | -2.6 | 2.2 | 0.5 | -1.6 | 0.6 | 0.7 | -0.7 | 2.2 | -0.6 | -5.8 |
| 2021 | 1.7 | 2.2 | 0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-03-08 51.0 SPY 141. 8.50e-3 0.0016 -0.0286 -0.0039 0.0998 0.209 0.206 GLD 64.5 2.80e-3 -0.0204
2 2007-03-09 51.3 SPY 141. 3.00e-4 0.0152 -0.0305 -0.0079 0.0978 0.225 0.208 GLD 64.2 -3.60e-3 0.0085
3 2007-03-12 51.5 SPY 141. 1.50e-3 0.0265 -0.0278 -0.0056 0.107 0.231 0.205 GLD 64.4 1.90e-3 0.0229
4 2007-03-13 50.2 SPY 138. -1.94e-2 -0.0104 -0.0395 -0.0206 0.0751 0.228 0.179 GLD 63.7 -1.01e-2 -0.0067
5 2007-03-14 50.2 SPY 139. 7.50e-3 -0.002 -0.0291 -0.0151 0.0811 0.253 0.189 GLD 63.9 3.50e-3 -0.0056
6 2007-03-15 50.7 SPY 139. 1.40e-3 -0.009 -0.0359 -0.0166 0.0714 0.239 0.202 GLD 64.0 6.00e-4 -0.0078
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
